English  |  正體中文  |  简体中文  |  Items with full text/Total items : 90453/105671 (86%)
Visitors : 15336776      Online Users : 235
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    ASIA unversity > 管理學院 > 財務金融學系 > 期刊論文 >  Item 310904400/17582

    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/17582

    Title: 國際動能策略與景氣循環風險:由季節性型態觀察之
    Authors: 陳獻儀;Chen, Hsien-Yi
    Contributors: 財務金融學系
    Keywords: 國際動能策略;季節性效應;景氣循環;international momentum strategies;seasonal effects;business cycle
    Date: 2012-06
    Issue Date: 2012-11-26 10:37:22 (UTC+8)
    Abstract: 基於近來國際金融市場上以國家股市指數為標的之投資商品日益盛行,本文以較近期的資料探討國際指數動能投資組合策略的獲利性。另一方面,對於動能交易策略獲利性的成因,許多文獻均指出景氣循環因素可能是其中一項重要影響因子,在檢視其對動能策略影響力時,本文認為透過動能投資組合利潤的季節型態觀察,可能要比以往文獻慣用的總體經濟代理變數,更為直接明確。本文採用39個國家的股價指數報酬為實證樣本,研究期間涵蓋1992年7月至2008年10月止,實證結果顯示,國際動能策略在已開發與新興市場國家都展現出顯著的動能利潤。除此之外,進一步觀察國際動能利潤之季節性表現後,本文並未發現明確且一致性的季節性型態,表示景氣循環因素對於國際指數動能交易策略獲利性,可能較不具主宰性。
    Recent years have witnessed phenomenal growth in the number and size of index-based financial products in international financial markets. This paper employs more recent data to examine the profitability of index-based international momentum strategies. Several studies have documented that business cycles are a possible explanation for price momentum. An important difference between momentum profiting from seasonal patterns and macroeconomic variables was that the former examined the influence of business cycle risk as more direct and explicit. Using stock market index data from 39 markets between July 1992 and October 2008, we found significant profitability of international momentum trading strategies in developed markets and emerging markets. Furthermore, we had not found an obvious and consistent seasonal pattern in international momentum profit. Business cycle seemed to not play a substantial role in index-based international momentum strategies.
    Relation: 臺大管理論叢 / NTU Management Review;22(2):277-308
    Appears in Collections:[財務金融學系] 期刊論文

    Files in This Item:

    File Description SizeFormat

    All items in ASIAIR are protected by copyright, with all rights reserved.

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback